Row
Rank
Predicted Beta
Idiosyncratic Volatility
Row
Annualized return and volatility
| Close | |
|---|---|
| Annualized Return | 0.0975 |
| Annualized Std Dev | 0.2584 |
| Annualized Sharpe (Rf=0%) | 0.3773 |
Row
Daily Return Statistics
| Close | |
|---|---|
| Observations | 2940.0000 |
| NAs | 1.0000 |
| Minimum | -0.1294 |
| Quartile 1 | -0.0073 |
| Median | 0.0005 |
| Arithmetic Mean | 0.0005 |
| Geometric Mean | 0.0004 |
| Quartile 3 | 0.0084 |
| Maximum | 0.1286 |
| SE Mean | 0.0003 |
| LCL Mean (0.95) | -0.0001 |
| UCL Mean (0.95) | 0.0011 |
| Variance | 0.0003 |
| Stdev | 0.0163 |
| Skewness | -0.0252 |
| Kurtosis | 7.9241 |
Downside Risk
| Close | |
|---|---|
| Semi Deviation | 0.0115 |
| Gain Deviation | 0.0119 |
| Loss Deviation | 0.0121 |
| Downside Deviation (MAR=210%) | 0.0160 |
| Downside Deviation (Rf=0%) | 0.0113 |
| Downside Deviation (0%) | 0.0113 |
| Maximum Drawdown | 0.5103 |
| Historical VaR (95%) | -0.0236 |
| Historical ES (95%) | -0.0380 |
| Modified VaR (95%) | -0.0238 |
| Modified ES (95%) | -0.0358 |
| From | Trough | To | Depth | Length | To Trough | Recovery |
|---|---|---|---|---|---|---|
| 2018-06-11 | 2020-03-23 | 2021-03-08 | -0.5103 | 690 | 449 | 241 |
| 2010-04-26 | 2011-10-03 | 2013-03-14 | -0.3391 | 719 | 363 | 356 |
| 2015-12-02 | 2016-02-11 | 2016-11-09 | -0.2275 | 238 | 49 | 189 |
| 2017-03-02 | 2017-09-07 | 2017-11-29 | -0.1499 | 190 | 132 | 58 |
| 2014-03-21 | 2014-10-10 | 2015-05-19 | -0.1314 | 293 | 142 | 151 |
Row
Monthly and Calendar Year Returns
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Close | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2009 | NA | NA | NA | NA | NA | NA | 0.4 | -3.1 | -1.7 | -3.7 | 0.4 | -0.5 | -8 |
| 2010 | -0.2 | 0 | -0.4 | -2.2 | -2.4 | -1.5 | 0 | 3.1 | 0.1 | -2.1 | 2.2 | -1 | -4.5 |
| 2011 | 2.1 | -0.9 | 0.5 | -0.5 | -2.2 | 1.1 | -0.3 | -3.3 | -3 | -5.7 | -1 | -1.1 | -13.6 |
| 2012 | 1.9 | 0.2 | -0.2 | 1 | -4.3 | 3.6 | 0.4 | 0.3 | 0.2 | 0.8 | 0.1 | 0.2 | 3.9 |
| 2013 | 1.3 | -0.2 | -2.4 | -1.8 | -1.1 | 1.6 | 1.7 | -1.2 | 1.1 | -0.4 | 0.4 | 0 | -1.2 |
| 2014 | -1.4 | 1.1 | 1.8 | -0.8 | 0.2 | 1.4 | -1.3 | 0.3 | -1 | 1.9 | -1.6 | -0.6 | 0 |
| 2015 | -1.6 | -0.3 | 0 | -0.9 | -0.5 | 0.7 | 0.2 | -3.8 | -0.2 | -2.8 | 0.4 | -1.6 | -10.1 |
| 2016 | -0.7 | 3 | -0.1 | -0.1 | 0.4 | -1.4 | -0.8 | -0.8 | 1.4 | -0.8 | 1.6 | -0.3 | 1.4 |
| 2017 | -0.4 | 2.7 | -0.7 | 1.2 | 1.8 | -0.7 | 0.7 | 0.5 | 0.3 | -0.9 | -0.6 | -1.1 | 3 |
| 2018 | 1.3 | 0.2 | 0.2 | 0.6 | 0.9 | -0.6 | 0.9 | 0.7 | -1.2 | 0.9 | 1.3 | 0.5 | 6 |
| 2019 | 0.9 | 0.2 | 2.4 | -1 | -1.6 | 0.4 | -3.5 | 0.1 | -2.5 | 1.6 | -0.6 | -0.1 | -3.6 |
| 2020 | -1.9 | -5 | -5.6 | -4.2 | -0.3 | -3.6 | -1.2 | -0.1 | 0.8 | 0.6 | 2.2 | 0.4 | -16.9 |
| 2021 | 1.7 | 3 | -0.1 | NA | NA | NA | NA | NA | NA | NA | NA | NA | 4.7 |
Row
Price Chart
Row
Rolling Performance Chart
Row
Snail Trail Chart
